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Working Paper
Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs. The data consist of six years (1999-2004) of order flow and exchange rate data for the euro-dollar and dollar-yen currency pairs at the one-minute frequency from EBS, the electronic broking system that now dominates interdealer spot trading in these currency pairs. This long span of high-frequency data allows us to gain new insights about the joint behavior of these series. We first confirm the presence of a ...